This section of Chapter 7 concerns Tom's fear that he is going to lose both his mistress and his wife. Remember they have just met Wilson who has told Tom he is planning on moving away from the city, and also Daisy, Tom's wife, is driving in the same car with Gatsby, her lover. Nick describes just before the quote highlighted in this question how Tom, when driving his car, frequently paused to look behind him to make sure that his wife was following him. Note how Nick describes this action:

Several times he turned his head and looked back for their car, and if the traffic delayed them he slowed up until they came into sight. I think he was afraid they would dart down a side street and out of his life forever.

The key to understanding the quotation in this question is therefore Tom's fear that he will lose his wife. The next paragraph deliberately picks up this fear, and thus the "less explicable step" of going to the hotel is "less explicable" precisely because it would have been more explicable, Nick reflects, if Gatbsy and Daisy had darted "down a side street and out of [Tom's] life forever." The engaging of the parlour in the Plaza Hotel is therefore "less explicable" precisely because it appears to Nick to be less explainable. Given Daisy's obvious attraction for Gatsby and his clear love for her, it would have made more sense had they run off together.